Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 1 | 2 | 3 |
| Score | -4.86 | -2.89 | -1.37 |
| Market Cap (Millions USD) | NA | NA | NA |
| Predicted Beta | 0.22 | 0.22 | 0.22 |
| Idiosyncratic Volatility | 0.29 | 0.32 | 0.61 |
Annualized return and volatility
| PGOAX | |
|---|---|
| Annualized Return | 0.0935 |
| Annualized Std Dev | 0.2024 |
| Annualized Sharpe (Rf=0%) | 0.4621 |
Row
Daily Return Statistics
| PGOAX | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1016 |
| Quartile 1 | -0.0055 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0070 |
| Maximum | 0.0980 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0128 |
| Skewness | -0.2900 |
| Kurtosis | 6.3997 |
Downside Risk
| PGOAX | |
|---|---|
| Semi Deviation | 0.0093 |
| Gain Deviation | 0.0087 |
| Loss Deviation | 0.0097 |
| Downside Deviation (MAR=210%) | 0.0139 |
| Downside Deviation (Rf=0%) | 0.0091 |
| Downside Deviation (0%) | 0.0091 |
| Maximum Drawdown | 0.5657 |
| Historical VaR (95%) | -0.0192 |
| Historical ES (95%) | -0.0298 |
| Modified VaR (95%) | -0.0199 |
| Modified ES (95%) | -0.0361 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-11-20 | 2010-12-21 | -0.5657 | 805 | 273 | 532 |
| 2002-04-22 | 2002-10-09 | 2003-09-08 | -0.3725 | 357 | 122 | 235 |
| 2011-05-02 | 2011-10-03 | 2013-01-02 | -0.2755 | 428 | 109 | 319 |
| 2018-06-21 | 2018-12-24 | 2019-12-20 | -0.2669 | 386 | 132 | 254 |
| 2015-06-24 | 2016-02-11 | 2016-11-23 | -0.2497 | 365 | 164 | 201 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | PGOAX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 0.2 | 0.3 | 0.0 | 0.8 | 1.2 | 0.0 | -0.4 | 0.6 | 0.0 | -0.4 | 0.0 | 0.0 | 2.2 |
| 2001 | 0.2 | -0.2 | 0.0 | 1.4 | 1.0 | 0.0 | 0.9 | 0.0 | -1.5 | 1.3 | 0.0 | 0.0 | 3.1 |
| 2002 | -0.5 | 1.5 | -0.5 | 0.1 | 0.0 | -2.8 | -1.0 | 0.0 | 1.4 | 2.3 | 0.0 | 0.0 | 0.4 |
| 2003 | 0.0 | 0.0 | 0.8 | 0.1 | 0.0 | 0.1 | -0.7 | 0.0 | 2.0 | 0.0 | 1.3 | 0.0 | 3.7 |
| 2004 | 0.0 | 1.2 | 0.1 | 0.0 | 0.4 | -0.8 | 0.0 | 0.7 | 1.6 | 0.1 | 1.1 | 0.0 | 4.5 |
| 2005 | 0.4 | 0.2 | -0.1 | 0.0 | 0.9 | 0.6 | 0.3 | 0.3 | 0.0 | 0.2 | 1.7 | 0.0 | 4.6 |
| 2006 | 0.5 | 1.3 | 0.0 | -0.3 | 1.5 | 0.0 | -1.0 | 0.2 | 0.0 | -1.5 | -0.2 | 0.0 | 0.5 |
| 2007 | 0.8 | -0.4 | 0.0 | 0.1 | 0.7 | 0.0 | 0.4 | 0.0 | 1.7 | -2.5 | 0.0 | 0.0 | 0.8 |
| 2008 | 2.4 | 0.0 | 2.8 | 1.8 | 0.0 | -0.3 | -0.3 | 0.0 | -1.4 | 0.0 | -10.2 | 0.0 | -5.6 |
| 2009 | 0.0 | 0.0 | 1.4 | 0.0 | 3.3 | 1.3 | 0.0 | -1.8 | -2.6 | 0.0 | 1.2 | 0.0 | 2.7 |
| 2010 | 1.4 | 1.9 | 1.0 | 0.0 | -2.4 | -0.7 | 0.0 | 3.3 | 0.6 | -0.2 | 1.8 | 0.0 | 6.7 |
| 2011 | 1.8 | -1.6 | 0.4 | 0.0 | -2.8 | 1.5 | -0.6 | -1.8 | 0.0 | -2.7 | -0.9 | 0.0 | -6.7 |
| 2012 | 1.8 | 0.6 | 0.0 | 0.3 | -3.1 | 0.0 | -1.4 | 0.0 | 0.0 | 1.5 | 0.0 | 0.0 | -0.4 |
| 2013 | 0.7 | 0.2 | -0.9 | -1.9 | 0.0 | 1.1 | 1.6 | 0.0 | 1.1 | -0.6 | 0.0 | 0.0 | 1.5 |
| 2014 | 0.0 | 0.0 | 1.3 | 0.2 | 0.0 | 0.9 | -0.3 | 0.0 | -1.3 | 0.0 | -1.9 | 0.0 | -1.2 |
| 2015 | 0.0 | 0.0 | -0.5 | 0.6 | 0.3 | 0.7 | 0.0 | -2.4 | 0.0 | 0.0 | 0.5 | 0.0 | -0.8 |
| 2016 | 0.3 | 1.9 | 0.2 | 0.0 | 0.7 | 0.2 | -0.4 | 0.0 | 0.0 | -0.9 | -0.9 | 0.0 | 1.1 |
| 2017 | -0.2 | 1.6 | 0.0 | 0.4 | 1.4 | 0.0 | 0.5 | 0.4 | 0.0 | -0.6 | -0.7 | 0.0 | 2.8 |
| 2018 | 0.5 | -0.4 | 0.0 | 0.1 | 0.5 | 0.0 | -0.6 | 0.0 | -0.9 | 1.9 | 0.0 | 0.0 | 1.2 |
| 2019 | 0.5 | 0.9 | 1.1 | -0.8 | 0.0 | 0.6 | -1.9 | 0.0 | -1.8 | 1.6 | 0.0 | 0.2 | 0.3 |
Row
Rolling Performance Chart
Snail Trail Chart
